The Gunners sealed a 5-2 win over the Foxes at the King Power stadium and the Arsenal boss was pleased with his side's all round display.
Jamie Vardy broke the deadlock for the homeside but Theo Walcott responded to level up for the Gunners.
Alexis Sanchez increased the deficit with his first goal of the campaign and went on to score a hat-trick before Vardy scored his second. Substitute Olivier Giroud made it 5-2 as Arsenal climbed up the table to fourth spot, three points behind Premier League leaders Manchester United.
After the clash Wenger told the BBC: "We created many chances and I felt a game like this confidence was coming. I think we always looked dangerous.
"We managed to come back from 2-1 and after that I feel we dominated the game.
"Alexis was waiting for a goal and he's not used to not scoring for so long so it was important for him to score."